a) Based on the bond information provided in Table 1, calculate the missing zero rate 21.5 and the 6-month forward rates R0.5,1 and R1.0.1.5.4 Table 14 Coupon Face Price Annualised 6-month Time to Maturity (years) Rate Value Zero Forward Rates 0.52 1.02 1.52 (p.a. 0% 0% 4.00% $100.00 $100.00 $100.00 $98.02 $95.89 $99.36 Rate 4.00% 4.20% 21.54 R0.5.14 R1.0.1.54 1 Note that all zero and forward rates quoted are continuously compounded. Coupons are paid semi-annually. b) From the pay fixed side, value the swap based on the following information: Notional Value = $100,000,000;- Time to Maturity = 1.75 years (i.e. 21 months): Fixed Rate = 3.00% p.a. and is paid semi-annually: Floating Rate is the six-month BBSW which was 3.5% p.a. continuous compounding 3 months ago: The 6-month, 12-month and 18-month BBSW rates are 3.5%, 3.6% and 3.8%, respectively. These rates are nominal annual with continuous compounding. 1 a) Based on the bond information provided in Table 1, calculate the missing zero rate 21.5 and the 6-month forward rates R0.5,1 and R1.0.1.5.4 Table 14 Coupon Face Price Annualised 6-month Time to Maturity (years) Rate Value Zero Forward Rates 0.52 1.02 1.52 (p.a. 0% 0% 4.00% $100.00 $100.00 $100.00 $98.02 $95.89 $99.36 Rate 4.00% 4.20% 21.54 R0.5.14 R1.0.1.54 1 Note that all zero and forward rates quoted are continuously compounded. Coupons are paid semi-annually. b) From the pay fixed side, value the swap based on the following information: Notional Value = $100,000,000;- Time to Maturity = 1.75 years (i.e. 21 months): Fixed Rate = 3.00% p.a. and is paid semi-annually: Floating Rate is the six-month BBSW which was 3.5% p.a. continuous compounding 3 months ago: The 6-month, 12-month and 18-month BBSW rates are 3.5%, 3.6% and 3.8%, respectively. These rates are nominal annual with continuous compounding. 1